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VaR for FX Forwards and FX Swaps - EXCEL

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Product Details
Course Type: EXCEL Download
Files Included: 1 worksheet

About the Course

The course begins with an overview of the methodology to be employed for calculating Value at Risk (VaR) for FX Forwards and FX Swaps. Data requirements for undertaking such an exercise is given followed by a step by step walkthrough of building a model in EXCEL to determine the risk measure.

The EXCEL file for calculating the VaR of a portfolio of an FX Swap and two FX Forward contracts using the approach outlined in the How-to Guide is also included.

Learning Objectives

After taking this course you will be able to:

  • Build an EXCEL worksheet to calculate VaR for these currency-based derivative contracts
  • Calculate currency-wise VaR for FX Forward & FX Swaps positions
  • Calculate portfolio VaR for a portfolio of these instruments
  • Present currency-wise results in a MIS report


The candidate should be comfortable with basic mathematics, statistics, probability and EXCEL and some familiarity with the calculation of Value at Risk. We recommended our “Calculating Value at Risk (includes case studies)” course if the candidate is new to the subject or requires a refresher.

Target Audience

The course is targeted towards intermediate and advanced users and is aimed primarily at individuals responsible for capital allocation, limit setting and risk management of foreign exchange portfolios within banks, insurance companies, mutual funds, as well as finance departments of non-financial organizations.

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